Options Symbology Change - Reuters

Thomson Reuters
OPTIONS SYMBOLOGY INITIATIVE
This document contains information proprietary to Thomson Reuters Limited, and may not be
reproduced, disclosed or used in whole or in part without the express permission of Thomson
Reuters Limited.
© Thomson Reuters Limited 2009
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CHANGE SUMMARY
Effective February 12, 2010 the Options Price Reporting Authority (OPRA) and the Options
Clearing Corp (OCC) will change the way they name options contracts traded on the seven
US options exchanges. To accommodate those changes, Thomson Reuters will change the
RICs for those options as well as the symbols used on Reuters Plus and Reuters Station.
CHANGE DETAILS
On December 5, 2006, the Board of Directors of the OCC approved a plan to change the
symbology used in representing listed option contracts in data transmissions between market
participants. The plan also calls for elimination of fractional strike prices by converting them to
decimal values.
The Options Symbology Initiative (OSI) has two major components:
• Shift from the OPRA code as a symbol to explicitly defining options based on multiple
fields - the options symbol, maturity day, call/put indicator and strike price
• Replacing fractional strike prices with decimals
The OCC plan defines a minimum 21-character symbol. The OPRA Technical Committee
considered the OCC symbol too long for the real time data feed products it offers and decided
on a somewhat shorter 17-character symbol. Both provide for using the correct exchange
stock ticker symbol for the root code, an explicit strike price capable of rendering prices in
pennies, explicit dates and put/call indicators. The current practice of providing multiple root
symbols for a single underlying security will be largely eliminated, with some exceptions.
The OPRA symbol will be 17 characters as shown below:
Root
Symbol
5
Expiration
Month
1
Expiration
Day
2
Expiration
Year
2
Strike Price
Denominator
1
Strike
Price
6
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The Strike Price Denominator Code field indicates the position of the floating decimal point.
Denominator
Code Value
Whole Numerator
7 Byte Price Field (number of decimal
places)
A 10 5 1
B 100 4 2
C 1,000 3 3
D 10,000 2 4
E 100,000 1 5
The schedule calls for OPRA to implement changes in its message format by June 30, 2008
but to still retain information needed by downstream users to continue to identify options using
the five-letter code. Then, on February 12, 2010, both OCC and OPRA will cease supplying
the information needed to maintain the five-letter code. At that point, all market participants
will have to begin using symbols with explicit strike prices and dates. Over the subsequent
few weeks, all root codes will be converted to match the ticker symbol of the underlying
security. This will eliminate virtually all so-called “wrap” and “leap” symbols.
There will be exceptions. The root symbol field in the OPRA message can accommodate a
basic symbol up to four letters in length plus a single digit to designate contracts subject to
corporate action adjustments for a total of five characters. Because NASDAQ symbols can be
five letters or more when a subordinate issue identifier is appended, OPRA will create a
separate root code to designate the subordinate issue. Other exceptions may arise and
OPRA will notify market participants as needed.
Thomson Reuters Implementation
OPRA Options RIC Structure
Thomson Reuters does not use the five-letter OPRA code for its option RICs. Instead, we use
the three- or four-letter root code plus an explicit strike price and a single letter for the month
and put/call indicator. Thomson Reuters will change the RIC structure to include more explicit
date information. The maximum length of the new options RIC is 17 characters.
Maximum length of descriptive elements in our planned RIC structure:
Symbol – 5 characters (including Corporate Action)
Expiration Month – Call/Put indicator – 1 digit - - Lower case expiration Month for any
strike >999
Expiration Day – 2 digits
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Expiration Year– 2 digits
Strike Price – 5 characters – We will be using 2 decimals in our strike price unless the
strike price is greater than 999.999, then we would use 1 decimal
Separator and Exchange ID – 2 characters
Our RIC structure will be 17 characters as shown below. Up to 15 characters will describe the
option. With the period (.) separator and a single-letter exchange ID the RIC will be 17
characters in total.
Root
Symbol
Expiration
Month
(C/P)
Expiration
Day
Expiration
Year
Strike
Price
Exchange
ID
Bytes 5 1 2 2 5 2
Example MSFT1 A 17 12 05500 .U
Example 1: MSFT1A170805500.U would be the NBBO RIC for the “adjusted” Microsoft
$55.00 call expiring January 17, 2008. (post consolidation)
Example 2: QQQQN150910000.W would be the CBOE-specific RIC for the PowerShares
Trust $100.00 put expiring February 15, 2009. (post consolidation - RDFD)
Chain RICs for such options would not change. They would remain 0#MSFT*.U and
0#QQQQ*.W respectively. The adjusted Options on Microsoft would be under 0#MSFT1*.U.
OPRA Options – OPRA Code:
FID 967 (BKGD_REF) is currently being used as an illogical FID to identify the “Street
Symbol” or the OPRA code. This FID will be populated with the new elongated OPRA code.
Thomson Reuters needs to normalize this code to assure consistency because the Options
exchanges are at liberty to use denominator codes of their choice within the new OPRA
format. To this extent, a “C” denominator code would be applied for all strike prices lesser
than 1000 & a “B” denominator code would be used for all strike prices greater than or equal
to 1000.
Example 1: VIBA2211C020000 would be the OPRA Code (Pre-Consolidation) for
the International Business Machine $20.00 call expiring January 22, 2011. Post
Consolidation the OPRA Code would change to IBMA2211C020000.
Example 2: SXGL1810B120000 would be the OPRA Code (Pre-Consolidation) for
the S&P 500 Index $1200.00 call expiring December 18, 2010. Post Consolidation
the OPRA Code would change to SPXL1810B120000.
3000 Xtra, Reuters Data Feed (RDF)
The current full quote option display includes the five-letter OPRA symbol. Thomson Reuters
3000 Xtra clients would have to upgrade to Display Template Version 11.3 to view the new
normalized OPRA Code in its entirety. The new RIC structure is confirmed & FID 967
(BKGD_REF) will contain the new normalized OPRA code.
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OPRA Options CHAIN RIC Structure:
0# Chains:
The 0# chain will continue to be used on the product. The RICs will be in ascending
order by expiry date. Currently, the 0# is in ascending order of expiry. No change would be
required.
Z# Chains:
The Z# chain will be continued on the product. Currently, the Z# chain provides the
client with all the option chain RICs associated with the underlying security. Since “wrap” and
“leap” symbols will be consolidated to the Underlying Stock as a part of the Options
Symbology Initiative, the Z# chain will store the Primary Option Chain & Corporate Adjusted
Option chain (if necessary)
Reuters Data Feed Direct (RDF-D)
RDF-D will not migrate to the new RIC symbology all at once as on IDN/RDF, but will phase
the introduction of the new RICs, while providing an extensive parallel run period during which
both the current and new RICs will be available. The RDF-D RICs will be based explicitly on
the OPRA roots and therefore the RIC changes will occur in 2 phases: The first phase will
migrate to the new symbol format using the current option root codes; during the second
phase, the option codes will change, based on the OCC schedule, to the consolidated symbol
roots.
Flex Options
Flex Options will continue to be supported via pages on 3000Xtra post the Option Symbology
Initiative as well.
DataScope Equities and DataScope Select
DataScope will support the new option RIC structure, and all other fields currently supported.
In addition, DataScope will support the new date and year fields in their RIC. The new
elongated OPRA code will be populated in the Ticker symbol field on Datascope. The new
RIC structure is confirmed & the elongated OPRA code will be populated in the Ticker symbol
field on Datascope
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ReutersStation, Reuters BridgeFeed
Specification to REAL-TIME BDN Data Changes:
BDN Symbology
The BDN symbology is shown in the table below.
Clorg Symbol Separator Year Month
• Clorg: As is standard for all BDN symbols, CLORG indicates origin (country)
and symbol class (‘;’ indicating a corporate class symbol).
• Symbol: 1 to 5 alphanumeric characters – should be the root option symbol
* A five character root symbol is supported *provided it contains one or more
digits* e.g. MSFT1. A purely alphabetic five character root symbol (e.g.
CMCSA) cannot be supported as it conflicts with existing OTC handling.
• Separator 1: A space between the ‘Entry’ and ‘Vehicle’ portion of corporate
symbols indicates an option
• Year: Two digit year of century (00-99). The year may be omitted if expiration
falls within the next year (12 months). A single digit may be used if the
expiration is within the next ten years.
• Month: A single alphabetic character indicating month and call (A-L) or put
(M-X).
• Day: Two digit day of month (01-31). A single digit may be used for the first 9
days of the month. The day may be omitted if it is the default expiration day of
the month (the third Friday of the month).
• Separator 2: A space will be used between the maturity date and strike price
portions of the symbol. This is required to guarantee that the new option form
can be correctly identified under all conditions.
For example TORO A52
Could represent an option with strike price of 52 with the year of decade
omitted, or a new OCC option with a strike price of 52.0 with year, day of
month and decimal point omitted
• Strike Price: A floating decimal with four significant digits will be used rather
than the fixed decimal position used in the OCC initiative. This will limit the
accuracy supported within the strike price. This is necessary to allow the
strike price to fit into the number of bits available. Trailing decimal zeros and
decimal point may be omitted.
If the strike price contains a decimal, for input purposes only, the second separator can be
omitted. However it will be present in when displayed.
Examples:
C/P
us;MSFT 11B15 29.75 – Call for Feb 15th 2011, strike price 29.75
us;MSFT 12X17 31 – Put for Dec 17th 2012, strike price 31.0
us;IBM 9A3 120.2 – Call for Jan 3rd 2009, strike price 120.2
Day Separator Strike Price
us; MSFT 08 A-L /M-X 18 15020
3
Characters
Up to
5 chars*
Space
2
Characters
1
Character
2
Characters
Space
OPRA OPTIONS SYMBOLOGY CHANGE - 6 -
5
Characters

Five Character Root Symbols
If options are traded off 5 character root symbols (eg: CMCSA), then on BDN the root symbol
for the options will be the first four characters i.e. CMCS.
If options are traded for the same company under two five character root symbols, eg:
CMCSA and CMCSK, then an appropriate alternate symbol will be used to differentiate the
options. For example, CMCS would be used for the most active set of options and CMCS0 for
the other set.
Corporate Actions
Corporate actions will result in a new symbol with a trailing digit, for root symbols of up to four
characters. If the original symbol already has 5 characters, then an appropriate alternate root
symbol will be chosen.
Reuters Plus & Thomson One
Specification to Reuters Plus Data Changes:
Exhibit A illustrates the new RPLUS Qsymbology. Exhibit B indicates the new Thomson
format. The RPLUS and T-1 symbols will be identical in nearly all cases, the exception being
for options with fractional strike prices. For fractional strike options:
- The character “Y” will be used in place of the T-1 dot (“.”), to indicate the decimal position in
the strike price component of the Qsymbol.
- The full number of decimal positions may not be included for some options with higher strike
values.
Qsymbology currently uses the dot “.” character to separate the symbol root and market code
extension. Use of this character elsewhere in the symbol would be problematic, and require
extensive software changes. The T-1 symbol has a max size of 17 characters. The Qsymbol
root has a maximum field size of 15 characters, which necessitates limiting the strike price
component to 5 characters. This may require omission of a decimal digit(s) for higher priced
options with fractional strike prices. Expansion of the Qsymbol root beyond 15 characters
would also require extensive RPLUS software modifications. However, due to the availability
of the actual strike price as a field value in the RPLUS database and broadcast, it is not
essential that the symbol contain all significant digits in its strike component. Decimal digits
are only required to provide a unique Qsymbol for fractional-strike options.
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Length
(Mn-Mx)
Exhibit A
New RPLUS Option Symbology (Thomson-Based, Modified Strike)
Symbol Root Exp Yr
5-Char Strike (floating decimal point)
QSYM
(Max 15 chars)
Exp
Day
Exp Mnth
(C/P)
Strike
Price
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.
Separator
1 - 5 2 2 1 1 - 5 1
Format AAAA[A/c] N N A
A = alpha
N/n =
num
c = corp
act digit
Case
R+
Qsym
T -1
Sym
- Left justified
- last char can
be a Corp
action
num[c] OR
Alpha 5 th Char
[A]
“S” Jan 21,2009
Call $60
- last
two
digit
EXAMPLE SYMBOLS
1- 31
“TTTT” Dec 22,2008
Put $115
Jan-Dec:
A-L Call
M-X Put
n[Ynn]
nn[Ynn]
nnn[Yn]
nnnn[Y]
nnnnn
(trunc if > 5ch)
- Decimal
fraction “[Y...]”
– if req’d
(see fractional
strike note
below * )
“VV” Dec 19,2008”
Call $43.33
S0921A60.O TTTT0822X115.O VV10819L43Y33.O
S0921A60 TTTT0822X115 VV10819L43.33
Types EXAMPLE SYMBOLS
Regular example SSS0921A60.O (SSS Jan 21,2009 Call $60)
QEXCH
Separator Market Code
Ex of Strike price >100 SSSS0822X115.O (SSSS Dec 22,2008 Put $115)
1-4
(1 used)
. A[AAA]
Ex of Strike Price >1000 SSSS0822X2345.O ( SSSS Dec 22,2008 Put $2345)
Corporate Action
SSSS10822X16Y12.O ( SSSS1 Dec 22,2008 Put $16.125)
SSSS10822X17Y5.O ( SSSS1 Dec 22,2008 Put $17.50)
NBBO: “O”
[Regionals:
AO,XO,PO,N
O,DO,QO ]

Fractional Strike Note:
When we have a non-integer strike price, the Qsym will include a fractional component
consisting of the letter “Y” (upper case) ** followed by up to two decimal digits, using the
following scheme:
Strike Price Format for Fractional Prices:
Strike Price Format Note
Less than 10 nYn[n] max 2 decimal positions if req’d
10 – 100 nnYn[n] max 2 decimal positions if req’d
100 – 999 nnnYn max 1 decimal position
1000 – 9999 nnnnY “Y” only
10000 and above nnnnn integer (max value 99,999)
* (If > 5 digits, value truncate to 5 digits)
** Decimal point indicator “Y” selected to avoid duplicating an expiration month code (A-X).
Note that lower case characters are not permitted in Qsymbol. Special characters should also
be avoided (dot “.” is not permitted).
Length
(Mn-Mx)
Max 17Chars
Exhibit B
THOMSON T-1 Symbol (New Thomson One Option Symbology)
7-Char Strike (floating decimal point)
Symbol Root Exp Yr Exp Day
Exp Mnth
(C/P)
Strike
Price *
1 – 5 2 2 1 1 - 7
Format AAAA[A/c] N N A n[.d..]
A = alpha
N/n = num
c = corp act
digit
- Left justified
- last char can
be a Corp action
num[c] OR Alpha
5 th Char [A]
- last two
digit
Types EXAMPLE SYMBOLS
1- 31
Jan-Dec:
A-L Call
M-X Put
Regular example SSS0921A60 (SSS Jan 21, 2009 Call $60)
- Decimal
Ex of Strike price >100 SSSS0822X10 (SSSS Dec 22,2008 Put $110)
Ex of Strike price >1000
fraction “.d..”
SSSS0822X2340 (SSSS Dec 22,2008 Put $2,340)
SSSS0822X23450 (SSSS Dec 22,2008 Put $23,450)
Corporate Action SSSS10822X23.33 (SSSS1 Dec 22,2008 Put $23.33)
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Fractional Strike Note:
1) All unnecessary leading/trailing 0’s removed from strike price component.
2) A decimal point and trailing decimal digits added for fractional strikes if/when
required.
3) Assume multiple decimal digits can be included (if required) as long as max field size
of 7 chars is not exceeded.
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